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Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal

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Viewing: 51 - 100 of 10,508 papers

51.

Advances in High Frequency Strategies

Doctoral Dissertation, Complutense University, Madrid, 2011
Number of pages: 42 Posted: 14 Jul 2012 Last Revised: 08 Aug 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,495
52.

The Dividend Disconnect

7th Miami Behavioral Finance Conference 2016
Number of pages: 56 Posted: 29 Nov 2016 Last Revised: 30 Aug 2018
Working Paper Series
University of Chicago - Booth School of Business and Boston College - Carroll School of Management
Downloads 4,457
53.

Middlemen in Limit Order Markets

Number of pages: 56 Posted: 13 Jun 2010 Last Revised: 21 Jun 2016
Working Paper Series
New York University - Department of Economics and Vrije Universiteit Amsterdam
Downloads 4,436
54.

Islamic vs. Conventional Banking: Business Model, Efficiency and Stability

World Bank Policy Research Working Paper No. 5446
Number of pages: 44 Posted: 20 Apr 2016
Working Paper Series
City University London - Sir John Cass Business School, World Bank and World Bank
Downloads 4,434
55.

Managerial Miscalibration

Quarterly Journal of Economics, Forthcoming
Number of pages: 38 Posted: 16 Jul 2010 Last Revised: 30 Oct 2019
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, Duke University and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,363
56.

Household Balance Sheets, Consumption, and the Economic Slump

Chicago Booth Research Paper No. 13-42, Fama-Miller Working Paper
Number of pages: 50 Posted: 18 Nov 2011 Last Revised: 07 Jun 2013
Working Paper Series
Princeton University - Department of Economics, MasterCard Advisors and University of Chicago - Booth School of Business
Downloads 4,336
57.

Currency Momentum Strategies

Number of pages: 86 Posted: 21 Apr 2011 Last Revised: 07 Nov 2011
Working Paper Series
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 3 versions of this paper

Downloads 4,313
58.

Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning

Number of pages: 20 Posted: 16 Mar 2018 Last Revised: 29 Mar 2018
Working Paper Series
Imperial College London - Department of Mathematics and University of Oxford
Downloads 4,260
59.

Do Alpha Males Deliver Alpha? Facial Width-to-Height Ratio and Hedge Funds

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 66 Posted: 18 Jan 2018 Last Revised: 15 Dec 2020
Working Paper Series
University of Central Florida - College of Business Administration and Singapore Management University - Lee Kong Chian School of Business
Downloads 4,216
60.

Gold, the Golden Constant, COVID-19, 'Massive Passives' and Déjà Vu

Number of pages: 18 Posted: 07 Aug 2020 Last Revised: 17 Sep 2020
Working Paper Series
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 4,198
61.

Global CAPE Model Optimization

Number of pages: 17 Posted: 18 Oct 2012 Last Revised: 31 Oct 2012
Working Paper Series
ReSolve Asset Management, ReSolve Asset Management, ReSolve Asset Management and Cambria Investment Management
Downloads 4,176
62.

The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 53 Posted: 26 Jan 2016 Last Revised: 24 Aug 2017
Working Paper Series
New York University - Leonard N. Stern School of Business, Bangkok Bank, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 4,126
63.

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

Journal of Finance, 69, pp. 2045-2084., FRB International Finance Discussion Paper No. 980
Number of pages: 42 Posted: 06 Nov 2009 Last Revised: 18 Mar 2015
Accepted Paper Series
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 4,102
64.

Measuring Systemic Risk

FRB of Cleveland Working Paper No. 10-02
Number of pages: 55 Posted: 24 Apr 2010 Last Revised: 28 Aug 2010
Accepted Paper Series
New York University - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 4,051
65.

Low-Frequency Traders in a High-Frequency World: A Survival Guide

Number of pages: 41 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,001
66.

Low-Risk Investing Without Industry Bets

Number of pages: 27 Posted: 03 May 2013 Last Revised: 10 May 2013
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,990
67.

The New Stock Market: Sense and Nonsense

Duke Law Journal, Forthcoming, Columbia Law and Economics Working Paper No. 513, Columbia Business School Research Paper No. 15-32
Number of pages: 62 Posted: 19 Mar 2015
Accepted Paper Series
Columbia University - Law School, Columbia Business School - Finance and Economics and University of Michigan Law School
Downloads 3,978
68.

The End of Market Discipline? Investor Expectations of Implicit Government Guarantees

Number of pages: 58 Posted: 19 Nov 2011 Last Revised: 12 Jun 2016
Working Paper Series
New York University - Leonard N. Stern School of Business, Simon Fraser University (SFU) and Syracuse University - College of Law
Downloads 3,946
69.

Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific Markets

Number of pages: 13 Posted: 07 Feb 2017
Working Paper Series
University of Agriculture, Faisalabad - Institute of Business Management Sciences, University of Otago - Department of Accountancy and Finance, International Islamic University and International Islamic University, Islamabad
Downloads 3,892
70.

Credit Risk Scoring Models

Number of pages: 15 Posted: 03 Feb 2010
Working Paper Series
Wiserfunding
Downloads 3,864
71.

Hedge Funds: A Dynamic Industry in Transition

Number of pages: 135 Posted: 29 Jul 2015
Working Paper Series
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Multiple version iconThere are 3 versions of this paper

Downloads 3,852
72.

Behavioralizing Finance

Foundations and Trends in Finance, Vol. 4, Nos. 1-2, pp. 1-184, 2010, SCU Leavey School of Business Research Paper No. 10-01
Number of pages: 187 Posted: 02 May 2010
Accepted Paper Series
Santa Clara University - Leavey School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 3,804
73.

Old Age and the Decline in Financial Literacy

Forthcoming in Management Science
Number of pages: 40 Posted: 24 Oct 2011 Last Revised: 30 Oct 2015
Working Paper Series
The American College, University of Missouri at Columbia - Department of Finance and Texas Tech University
Downloads 3,715
74.

Behavioral Finance

Number of pages: 69 Posted: 15 Aug 2014 Last Revised: 01 Oct 2014
Working Paper Series
University of California, Irvine - Paul Merage School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 3,678
75.

Machine Learning for Asset Managers (Chapter 1)

Cambridge Elements, 2020
Number of pages: 45 Posted: 27 Apr 2020
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,639
76.

Zero-Commission Individual Investors, High Frequency Traders, and Stock Market Quality

Number of pages: 68 Posted: 01 Feb 2021 Last Revised: 12 Apr 2021
Working Paper Series
Oklahoma State University - Stillwater - Department of Finance, Emory University - Department of Finance, Oklahoma State University - Department of Finance and Emory University - Goizueta Business School
Downloads 3,627
77.

Another Look at Trading Costs and Short-Term Reversal Profits

Number of pages: 44 Posted: 15 May 2010 Last Revised: 26 Jul 2011
Working Paper Series
Robeco Asset Management, Erasmus University - Rotterdam School of Management and Robeco Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,585
78.

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Number of pages: 26 Posted: 28 May 2013 Last Revised: 11 Jun 2013
Working Paper Series
Robeco Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments
Downloads 3,542
79.

Smile Dynamics IV

Number of pages: 12 Posted: 13 Dec 2009
Working Paper Series
Societe Generale
Downloads 3,537
80.

Tweets and Trades: The Information Content of Stock Microblogs

Number of pages: 89 Posted: 06 Nov 2010 Last Revised: 10 Aug 2014
Working Paper Series
Technische Universität München (TUM) - School of Management and Technische Universität München (TUM) - School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,513
81.

An Anatomy of Calendar Effects

Journal of Asset Management 13(4), 2012, pp. 271-286
Number of pages: 24 Posted: 24 Apr 2010 Last Revised: 07 Oct 2012
Accepted Paper Series
Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 3,507
82.

A Dysfunctional Role of High Frequency Trading in Electronic Markets

Johnson School Research Paper Series No. 08-2011
Number of pages: 16 Posted: 09 Mar 2011 Last Revised: 30 Jun 2011
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 3,493
83.

Expected Skewness and Momentum

Number of pages: 40 Posted: 29 Apr 2015 Last Revised: 03 Aug 2016
Working Paper Series
University of Duisburg-Essen, Campus Essen, Allianz SE - Allianz Global Investors Europe and University of Mannheim - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,493
84.

Adaptive Markets and the New World Order

Number of pages: 22 Posted: 01 Jan 2012 Last Revised: 05 Jun 2012
Working Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 3,460
85.

Factor Momentum Everywhere

Yale ICF Working Paper No. 2018-23
Number of pages: 31 Posted: 31 Dec 2018 Last Revised: 02 Aug 2019
Working Paper Series
AQR Capital Management, LLC and Yale SOM
Downloads 3,430
86.

How to Detect an Asset Bubble

Johnson School Research Paper Series No. 28-2010
Number of pages: 32 Posted: 07 Jun 2010 Last Revised: 16 Mar 2011
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, affiliation not provided to SSRN and Cornell University
Downloads 3,415
87.

Rise of Factor Investing: Asset Prices, Informational Efficiency, and Security Design

29th Australasian Finance and Banking Conference 2016
Number of pages: 57 Posted: 29 Jun 2016 Last Revised: 17 Apr 2019
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Chicago
Downloads 3,409
88.

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Journal of Investment Consulting, Vol. 7, No. 2, pp. 21-44, 2005
Number of pages: 28 Posted: 05 Nov 2010
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Multiple version iconThere are 2 versions of this paper

Downloads 3,344
89.

High-Frequency Trading and Extreme Price Movements

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 28 Nov 2014 Last Revised: 19 Jun 2020
Accepted Paper Series
University of Utah - David Eccles School of Business, University of Memphis - Fogelman College of Business and Economics, Louvain School of Management (UCL), Queen's University - Smith School of Business, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 3,337
90.

Momentum and Trend Following Trading Strategies for Currencies Revisited - Combining Academia and Industry

Number of pages: 22 Posted: 11 Apr 2017 Last Revised: 11 Jan 2019
Working Paper Series
Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 3,333
91.

An Empirical Examination of the Antecedents and Consequences of Contribution Patterns in Crowd-Funded Markets

Information Systems Research, Forthcoming
Number of pages: 40 Posted: 19 Sep 2011 Last Revised: 31 Aug 2016
Accepted Paper Series
Boston University - Questrom School of Business, New York University (NYU) - Leonard N. Stern School of Business and Temple University - Department of Management Information Systems
Downloads 3,324
92.

Credit Value Adjustment and Funding Value Adjustment All Together

Number of pages: 21 Posted: 08 Apr 2011
Working Paper Series
The Bank of New York Mellon and JP Morgan Chase
Downloads 3,311
93.

The Determinants of Stock and Bond Return Comovements

The Review of Financial Studies, Vol. 23, Issue 6, pp. 2374-2428, 2010, National Bank of Belgium Working Paper No. 119, AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 67 Posted: 05 Oct 2010
Accepted Paper Series
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 3,311
94.

The ABCs of Hedge Funds: Alphas, Betas, & Costs

Number of pages: 26 Posted: 01 Apr 2010 Last Revised: 23 Apr 2010
Working Paper Series
Yale School of Management, Ibbotson Associates and Hong Kong Polytechnic University
Downloads 3,302
95.

Beauty is Wealth: CEO Appearance and Shareholder Value

Number of pages: 79 Posted: 21 Nov 2013 Last Revised: 20 Dec 2014
Working Paper Series
University of Nevada, Reno and University of Arkansas - Department of Finance
Downloads 3,300
96.

Market Reaction to Corporate Press Releases

Number of pages: 58 Posted: 21 Feb 2010 Last Revised: 13 Nov 2011
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, Brandeis University and Board of Governors of the Federal Reserve System
Downloads 3,284
97.

Accounting Conservatism and Stock Price Crash Risk: Firm-Level Evidence

Contemporary Accounting Research, Forthcoming
Number of pages: 65 Posted: 15 Dec 2009 Last Revised: 29 Nov 2013
Accepted Paper Series
City University of Hong Kong and Singapore Management University - School of Accountancy

Multiple version iconThere are 2 versions of this paper

Downloads 3,278
98.

Anomalies and News

Journal of Finance, Forthcoming, 6th Miami Behavioral Finance Conference
Number of pages: 65 Posted: 17 Jul 2015 Last Revised: 23 Nov 2017
Accepted Paper Series
University of California, San Diego (UCSD) - Rady School of Management, Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads 3,255
99.

ESG Rating Disagreement and Stock Returns

Swiss Finance Institute Research Paper No. 19-67, European Corporate Governance Institute – Finance Working Paper No. 651/2020
Number of pages: 49 Posted: 10 Aug 2019 Last Revised: 30 Jul 2021
Accepted Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva Finance Research Institute (GFRI) and University of Zurich - Department of Banking and Finance
Downloads 3,245
100.

What Determines Capital Structure of Listed Firms in India?: Some Empirical Evidences from The Indian Capital Market

Number of pages: 25 Posted: 22 Apr 2010 Last Revised: 11 Sep 2012
Working Paper Series
CalPERS
Downloads 3,212